Wrong Pivot points on Futures NQ and DJ

• 02/07/2024 at 3:37 PM #227580
  LucasBest

  For Test

  ONCE DayH = high ONCE DayL = low ONCE DayC = close ONCE FullDay = 0 ONCE FullWeek = 0 ONCE FullMonth = 0 IF (OpenTime=010000 and dayofweek<>1) or (dayofweek<DAYOFWEEK[1]) THEN drawvline(barindex) if dayofweek <> 1 or (dayofweek<DAYOFWEEK[1]) THEN PivotDuJour = (DHigh(1) + DLow(1) + DClose(1)) / 3 elsif dayofweek = 1 then PivotDuJour = (DHigh(2) + DLow(2) + DClose(2)) / 3 endif MonthH = max(MonthH,DayH) MonthL = min(MonthL,DayL) MonthC = DayC WeekH = max(WeekH,DayH) WeekL = min(WeekL,DayL) WeekC = DayC pDayofWeekI = DayofWeekI pDayI = DayI pDayH = DayH pDayL = DayL pDayC = DayC DayofWeekI = DayofWeek DayI = Day DayH = High DayL = Low DayC = Close If FullDay then DayPivot = (pDayH + pDayL + pDayC)/3 Else DayPivot = undefined FullDay = 1 Endif If DayofWeekI < pDayofWeekI then pWeekH = WeekH pWeekL = WeekL pWeekC = WeekC WeekH = High WeekL = Low WeekC = Close If FullWeek then WeekPivot = (pWeekH + pWeekL + pWeekC)/3 Else WeekPivot = undefined FullWeek = 1 Endif //drawvline(barindex) Endif If DayI < pDayI then pMonthH = MonthH pMonthL = MonthL pMonthC = MonthC MonthH = High MonthL = Low MonthC = Close If FullMonth then MonthPivot = (pMonthH + pMonthL + pMonthC)/3 Else MonthPivot = undefined FullMonth = 1 Endif //drawvline(barindex) Endif ENDIF DayH = max(DayH,high) DayL = min(DayL,low) DayC = close Return dayofweek

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  ONCE DayH = high ONCE DayL = low ONCE DayC = close ONCE FullDay = 0 ONCE FullWeek = 0 ONCE FullMonth = 0   IF (OpenTime=010000 and dayofweek<>1) or (dayofweek<DAYOFWEEK[1]) THEN   drawvline(barindex)   if dayofweek <> 1 or (dayofweek<DAYOFWEEK[1]) THEN PivotDuJour  = (DHigh(1) + DLow(1) + DClose(1)) / 3 elsif dayofweek = 1 then PivotDuJour  = (DHigh(2) + DLow(2) + DClose(2)) / 3 endif   MonthH = max(MonthH,DayH) MonthL = min(MonthL,DayL) MonthC = DayC WeekH = max(WeekH,DayH) WeekL = min(WeekL,DayL) WeekC = DayC     pDayofWeekI = DayofWeekI pDayI = DayI pDayH = DayH pDayL = DayL pDayC = DayC DayofWeekI = DayofWeek DayI = Day DayH = High DayL = Low DayC = Close   If FullDay then DayPivot = (pDayH + pDayL + pDayC)/3 Else DayPivot = undefined FullDay = 1 Endif   If DayofWeekI < pDayofWeekI then pWeekH = WeekH pWeekL = WeekL pWeekC = WeekC WeekH = High WeekL = Low WeekC = Close   If FullWeek then WeekPivot = (pWeekH + pWeekL + pWeekC)/3 Else WeekPivot = undefined FullWeek = 1 Endif //drawvline(barindex) Endif   If DayI < pDayI then pMonthH = MonthH pMonthL = MonthL pMonthC = MonthC MonthH = High MonthL = Low MonthC = Close   If FullMonth then MonthPivot = (pMonthH + pMonthL + pMonthC)/3 Else MonthPivot = undefined FullMonth = 1 Endif //drawvline(barindex) Endif   ENDIF   DayH = max(DayH,high) DayL = min(DayL,low) DayC = close   Return dayofweek

  Can you test this last one at same barindex as previously ?

  

  LucasBest

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  02/07/2024 at 4:47 PM #227589
  Jerome888

  Attached, thank you

  

  Jerome888

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  02/07/2024 at 5:39 PM #227599
  LucasBest

  Weird, dayofweek is supposed to change at 1 am (at the end of the bar that begin at 0h55min to be more accurate, not at 7 am…

  Is it the same for Allemagne 40 (DAX) ?

  

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  02/07/2024 at 6:01 PM #227600
  Jerome888

  Yes it is a known problem on PRT with  futures. That s why in one of the first post i have included a code correcting this.

  

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  02/07/2024 at 6:11 PM #227603
  LucasBest

  Jerome888 wrote:

  Yes it is a known problem on PRT with futures. That s why in one of the first post i have included a code correcting this.

  Is your Nasdaq future is differnt from US Tech 100 CFD (from IG) ? If it is, tell me how you do to put the Nasdaq future on PRT so i will be able to solve your problem… The code i posted works for CFD index that have Dayofweek change at 1 am. Mayb i need an other broker ?

  If i want to do the same for future i have to do sevral tests while coding it…

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  LucasBest

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  02/07/2024 at 6:16 PM #227604
  Jerome888

  To access the futures you would need to use the “other” PRT (with broker IB) a demo account is enough. Probuilder code is the same.

   

  Then instead of searching for us tech 100… you search for NQXXXX

  Then you have the futures nasdaq in front of the eyes ! 🙂 thank you a lot

  

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  02/07/2024 at 6:22 PM #227606
  Jerome888

  https://trading.prorealtime.com/fr/essai-gratuit-prt-trading

   

  This is this one

  

  Jerome888

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  02/08/2024 at 5:09 AM #227625
  Jerome888

  Now it works.

  The problem was the use of Close[1] instead of DClose(1) which corresponds is the Settlement Price (Prix de Règlement) and can be different from Close[1].

  Here the code which works and which “correct” also the PRT bug about the fact that the dayofWeek changes only at 7:00 on some futures.

  MONTHLY pivots points

  defparam drawonlastbaronly = true myTime=Time myDay=day myMonth=month myYear=Year if (myTime>=000000 and myTime<= 065959) then myDay=myDay+1 if myYear <> myYear[1] then if ((myYear mod 4 = 0) and (myYear mod 100 <> 0)) or (myYear mod 400 = 0) then MaxDayInFeburary=29 else MaxDayInFeburary=28 endif endif if myMonth=1 and myDay>31 then myMonth=2 myDay=1 elsif myMonth=2 and myDay>MaxDayInFeburary then myMonth=3 myDay=1 elsif myMonth=3 and myDay>31 then myMonth=4 myDay=1 elsif myMonth=4 and myDay>30 then myMonth=5 myDay=1 elsif myMonth=5 and myDay>31 then myMonth=6 myDay=1 elsif myMonth=6 and myDay>30 then myMonth=7 myDay=1 elsif myMonth=7 and myDay>31 then myMonth=8 myDay=1 elsif myMonth=8 and myDay>31 then myMonth=9 myDay=1 elsif myMonth=9 and myDay>30 then myMonth=10 myDay=1 elsif myMonth=10 and myDay>31 then myMonth=11 myDay=1 elsif myMonth=11 and myDay>30 then myMonth=12 myDay=1 elsif myMonth=12 and myDay>31 then myMonth=1 myDay=1 endif endif //PRC_MonthlyPivotPoints | indicator //26.10.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge //adapted from PRT original indicator //select mode of calculation of the Monthly pivot points (0,1,2) mode = 0 If myMonth<>myMonth[1] then MonthlyHigh = Highest[max(1,BarIndex - lastMonthBarIndex)](High)[1] MonthlyLow = Lowest[max(1,BarIndex - lastMonthBarIndex)](Low)[1] lastMonthBarIndex = BarIndex a=DClose(1) If mode = 0 then MonthlyPivot = (MonthlyHigh + MonthlyLow + DClose(1)) / 3 Elsif mode = 1 then MonthlyPivot = (Open + MonthlyHigh + MonthlyLow + DClose(1)) / 4 Elsif mode = 2 then MonthlyPivot = (MonthlyHigh + MonthlyLow + DClose(1)*2) / 4 Else MonthlyPivot = (Open*2 + MonthlyHigh + MonthlyLow) / 4 Endif MonthlyR1 = 2*MonthlyPivot - MonthlyLow MonthlyS1 = 2*MonthlyPivot - MonthlyHigh MonthlyR2 = MonthlyPivot + (MonthlyHigh - MonthlyLow) MonthlyS2 = MonthlyPivot - (MonthlyHigh - MonthlyLow) MonthlyR3 = MonthlyR1 + (MonthlyHigh - MonthlyLow) MonthlyS3 = MonthlyS1 - (MonthlyHigh - MonthlyLow) Endif // return MonthlyPivot as "Monthly P", MonthlyR1 as "Monthly R1", MonthlyS1 as "Monthly S1", MonthlyR2 as "Monthly R2", MonthlyS2 as "Monthly S2", MonthlyR3 as "Monthly R3", MonthlyS3 as "Monthly S3"

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  defparam drawonlastbaronly = true   myTime=Time myDay=day myMonth=month myYear=Year   if (myTime>=000000 and myTime<= 065959) then myDay=myDay+1   if myYear <> myYear[1] then if ((myYear mod 4 = 0) and (myYear mod 100 <> 0)) or (myYear mod 400 = 0) then MaxDayInFeburary=29 else MaxDayInFeburary=28 endif endif   if myMonth=1 and myDay>31 then myMonth=2 myDay=1 elsif myMonth=2 and myDay>MaxDayInFeburary then myMonth=3 myDay=1 elsif myMonth=3 and myDay>31 then myMonth=4 myDay=1 elsif myMonth=4 and myDay>30 then myMonth=5 myDay=1 elsif myMonth=5 and myDay>31 then myMonth=6 myDay=1 elsif myMonth=6 and myDay>30 then myMonth=7 myDay=1 elsif myMonth=7 and myDay>31 then myMonth=8 myDay=1 elsif myMonth=8 and myDay>31 then myMonth=9 myDay=1 elsif myMonth=9 and myDay>30 then myMonth=10 myDay=1 elsif myMonth=10 and myDay>31 then myMonth=11 myDay=1 elsif myMonth=11 and myDay>30 then myMonth=12 myDay=1 elsif myMonth=12 and myDay>31 then myMonth=1 myDay=1 endif endif       //PRC_MonthlyPivotPoints | indicator //26.10.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge //adapted from PRT original indicator //select mode of calculation of the Monthly pivot points (0,1,2) mode = 0 If myMonth<>myMonth[1] then MonthlyHigh = Highest[max(1,BarIndex - lastMonthBarIndex)](High)[1] MonthlyLow = Lowest[max(1,BarIndex - lastMonthBarIndex)](Low)[1] lastMonthBarIndex = BarIndex a=DClose(1) If mode = 0 then MonthlyPivot = (MonthlyHigh + MonthlyLow + DClose(1)) / 3 Elsif mode = 1 then MonthlyPivot = (Open + MonthlyHigh + MonthlyLow + DClose(1)) / 4 Elsif mode = 2 then MonthlyPivot = (MonthlyHigh + MonthlyLow + DClose(1)*2) / 4 Else MonthlyPivot = (Open*2 + MonthlyHigh + MonthlyLow) / 4 Endif MonthlyR1 = 2*MonthlyPivot - MonthlyLow MonthlyS1 = 2*MonthlyPivot - MonthlyHigh MonthlyR2 = MonthlyPivot + (MonthlyHigh - MonthlyLow) MonthlyS2 = MonthlyPivot - (MonthlyHigh - MonthlyLow) MonthlyR3 = MonthlyR1 + (MonthlyHigh - MonthlyLow) MonthlyS3 = MonthlyS1 - (MonthlyHigh - MonthlyLow) Endif // return MonthlyPivot as "Monthly P", MonthlyR1 as "Monthly R1", MonthlyS1 as "Monthly S1", MonthlyR2 as "Monthly R2", MonthlyS2 as "Monthly S2", MonthlyR3 as "Monthly R3", MonthlyS3 as "Monthly S3"

  Thank you a lot LucasBest for your valuable support. If you see any improvements to be brought to this code, it is very welcome, I saw you publish a lot of good things here on the forum…

   

   

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  Jerome888

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  02/08/2024 at 5:48 AM #227626
  Jerome888

  Remain still the problem of managing the hours changes… summer/winter : sometimes the day does not change at 7:00 but at 6:00

  

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  02/08/2024 at 6:25 AM #227628
  Jerome888

  For 2023 I have just brought weeksofShift and TimeOfDayChange pfor managing the week difference between Paris and US…

  weeksOfShift = (myMonth=3 and (myDay>=12 and myDay<=26)) or ((myMonth=10 and myDay>=29) or (myMonth=11 and myDay<=5))
  if weeksOfShift then
  TimeofDayChange=055959
  else
  TimeofDayChange=065959
  endif

  weeksOfShift = (myMonth=3 and (myDay>=12 and myDay<=26)) or ((myMonth=10 and myDay>=29) or (myMonth=11 and myDay<=5)) if weeksOfShift then TimeofDayChange=055959 else TimeofDayChange=065959 endif if (myTime>=000000 and myTime<= TimeofDayChange) then myDay=myDay+1 ...................

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  weeksOfShift = (myMonth=3 and (myDay>=12 and myDay<=26)) or ((myMonth=10 and myDay>=29) or (myMonth=11 and myDay<=5)) if weeksOfShift then TimeofDayChange=055959 else TimeofDayChange=065959 endif     if (myTime>=000000 and myTime<= TimeofDayChange)  then myDay=myDay+1 ...................

  Now I am looking for a code which defines the date (day and month) of the last sunday of March and the last sunday of October  automatically (for a given year)

  

  Jerome888

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  02/08/2024 at 8:44 AM #227633
  PeterSt

  Jerome, that will not help you, as it is not only about our Daylight Saving but also about the US. In the past years I experienced a difference that lasted 1 week, 2 weeks and even 3 weeks.
  The rule in the US I don’t know. Ours is what you suggested (end of March etc.).

  Peter

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  02/08/2024 at 8:53 AM #227634
  Jerome888

  Thank you Peter, I think you are right, a manual entry for each year is better

  

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  02/08/2024 at 8:57 AM #227635
  PeterSt

  Jerome888 wrote:

  The problem was the use of Close[1] instead of DClose(1) which corresponds is the Settlement Price (Prix de Règlement) and can be different from Close[1].

  Wow, I did not know this existed. But exactly as what was asked here : and with this response from Nicolas :

  Dclose returns the official daily close of the instrument.

  which to me in the context of the “constant” is the same as No answer … would it be true indeed that for the DAX this would return 17:30 ? Please remember, the DAX closes at 22:00.
  It would mean 22:00 for ES and NQ (etc.) which close at 23:00.

  Of course I like to believe you. Did you test this ? (which I could do myself – haha).
  The manual (“Programming Guide” – ProBacktest and ProOrder) does not tell much about it. And if anything it is what Nicolas literally said (quote above). The manual speaks in the context of “and it does not depend on your TimeZone settings”. Not that I can warp my head around that. 🙂

  Curious …

  

  PeterSt

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  02/08/2024 at 9:01 AM #227636
  PeterSt

  Jerome888 wrote:

  Thank you Peter, I think you are right, a manual entry for each year is better

  I am quite sure you don’t need this. So just in case :

  DLS = 0 // 30-10-2022,PS. 0 = Normal. 1 = Autumn. 2 = Spring. If Date >= 20221031 and Date <= 20221104 then DLS = 1 // Autumn. USA is one hour early. elsif Date >= 20230312 and Date <= 20230326 then // 11-03-2023,PS. DLS = 2 // Spring. USA is one hour early. endif // 29-10-2023,PS, Justadd a group for convenience (no difficult If/Else stuff). // And the above can even be used for more history backtesting. If Date >= 20231029 and Date <= 20231105 then DLS = 1 // Autumn. USA is one hour early. elsif Date >= 20240310 and Date <= 20240331 then DLS = 2 // Spring. USA is one hour early. endif

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  DLS = 0   // 30-10-2022,PS. 0 = Normal. 1 = Autumn. 2 = Spring.   If Date >= 20221031 and Date <= 20221104 then   DLS = 1   // Autumn. USA is one hour early. elsif Date >= 20230312 and Date <= 20230326 then   // 11-03-2023,PS.   DLS = 2   // Spring. USA is one hour early. endif      // 29-10-2023,PS, Justadd a group for convenience (no difficult If/Else stuff). // And the above can even be used for more history backtesting.   If Date >= 20231029 and Date <= 20231105 then   DLS = 1   // Autumn. USA is one hour early. elsif Date >= 20240310 and Date <= 20240331 then   DLS = 2   // Spring. USA is one hour early. endif

   

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  02/08/2024 at 9:08 AM #227637
  PeterSt

  … If DClose really would do what you describe, it would even solve the problem of White Thursday, Good Friday and other crazy stuff like following Easter on Monday which does not exist in the US, but where they these days make up various other holidays on such days (as Easter Monday). N.b.: I think in this thread you talked about this too ?
  Anyway, we could make an indicator for that, so we can just see it coming, instead of trying to look it up for the xth time, knowing that IBKR is sparse with such data (IG is OK).

  PS: The crazy stuff is about not being able to judge your daily gain properly because it depends on the Settlement dates/times (DAX is a daily pain if you’re not used to it).

   

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